June 26: Bloomberg Quant Seminar Series

Please join us for the next installment of the Bloomberg Quant (BBQ) Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance. 

In this session, chaired by Bruno Dupire, Nobel Prize winner Robert F. Engle will present his current research, followed by several “lightning talks” of 5 minutes each in quick succession. This format gives the audience the opportunity to be exposed to a wider variety of topics. 

NOTE: This event will take place at our 120 Park Avenue location.

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Keynote
Robert F. Engle Robert F. Engle
Michael Armellino Professor of Finance
New York University Stern School of Business
Financial Volatility and Geopolitical Risk

Geopolitical events may impact volatilities of all asset classes, sectors and countries. It is shown that innovations to volatilities are correlated across assets and asset classes and therefore can be used to forecast or hedge geopolitical risks. The paper develops a statistical model of a Geopolitical Volatility Factor or GPVF, based on the standardized residuals from a factor model with GARCH style residuals. A test for GPVF is developed with estimation algorithms. These are applied to 9 ETFs of sectors of the US and to 45 MSCI country ETFs. The model has asset pricing implications for hedging geopolitical risks.


Agenda
  • 5:00pm – Check-in
  • 5:30pm – Keynote:
    Robert F. Engle, New York University Stern School of Business
  • 6:15pm – Lightning talks:
    A lightning talk is a very short presentation lasting only 5 minutes. Several ones will be delivered in a single session by different speakers in quick succession.
  • 7:00pm – Cocktail reception

When & where
Wednesday, June 26, 2019
5:00pm – 8:00pm EDT 

Bloomberg L.P.
120 Park Avenue
22 MPR
New York, NY 10017
Map

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About the business
The Bloomberg Terminal brings together real-time data, breaking news, in-depth research, powerful analytics, communications tools and world-class execution capabilities in one fully integrated solution – used by 325,000 of the world’s most influential decision makers.

Welcome to the Quantitative Finance Weekly Seminar (QFWS) page

This page will be updated regularly with information on upcoming QFW Seminars.

This series is a collaborative effort co-organized by Bloomberg LP, Global Risk Institute, International Association of Quantitative Finance (IAQF), NYU’s Courant Institute of Mathematical Sciences, and NYU’s Tandon School of Engineering.

The seminars are held at a different location every week, five locations total, around New York City and Brooklyn–see the Seminar Locations page for details.

Collaborative events organized by Bloomberg LP, Global Risk Institute, Cornell Financial Engineering Manhattan, International Association of Quantitative Finance (IAQF), NYU Courant Institute of Mathematical Sciences, and NYU Tandon School of Engineering.

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